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A reinforcement learning extension to the Almgren-Chriss model for optimal trade execution
Citations
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Cited by:
- Dicks, Matthew & Paskaramoorthy, Andrew & Gebbie, Tim, 2024. "A simple learning agent interacting with an agent-based market model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 633(C).
- Patrick Chang & Etienne Pienaar & Tim Gebbie, 2020. "Malliavin-Mancino estimators implemented with non-uniform fast Fourier transforms," Papers 2003.02842, arXiv.org, revised Nov 2020.
- Brian Ning & Franco Ho Ting Lin & Sebastian Jaimungal, 2018. "Double Deep Q-Learning for Optimal Execution," Papers 1812.06600, arXiv.org, revised Jun 2020.
- Donovan Platt & Tim Gebbie, 2016. "The Problem of Calibrating an Agent-Based Model of High-Frequency Trading," Papers 1606.01495, arXiv.org, revised Mar 2017.
- Alexandre Carbonneau & Frédéric Godin, 2023. "Deep Equal Risk Pricing of Financial Derivatives with Non-Translation Invariant Risk Measures," Risks, MDPI, vol. 11(8), pages 1-27, August.
- Xiaodong Li & Pangjing Wu & Chenxin Zou & Qing Li, 2022. "Hierarchical Deep Reinforcement Learning for VWAP Strategy Optimization," Papers 2212.14670, arXiv.org.
- Woo Jae Byun & Bumkyu Choi & Seongmin Kim & Joohyun Jo, 2023. "Practical Application of Deep Reinforcement Learning to Optimal Trade Execution," FinTech, MDPI, vol. 2(3), pages 1-16, June.
- Schnaubelt, Matthias, 2020. "Deep reinforcement learning for the optimal placement of cryptocurrency limit orders," FAU Discussion Papers in Economics 05/2020, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
- Yuchao Dong, 2022. "Randomized Optimal Stopping Problem in Continuous time and Reinforcement Learning Algorithm," Papers 2208.02409, arXiv.org, revised Sep 2023.
- Haoran Wang & Xun Yu Zhou, 2019. "Continuous-Time Mean-Variance Portfolio Selection: A Reinforcement Learning Framework," Papers 1904.11392, arXiv.org, revised May 2019.
- Andrew Paskaramoorthy & Terence van Zyl & Tim Gebbie, 2020. "A Framework for Online Investment Algorithms," Papers 2003.13360, arXiv.org.
- Ben Hambly & Renyuan Xu & Huining Yang, 2021. "Recent Advances in Reinforcement Learning in Finance," Papers 2112.04553, arXiv.org, revised Feb 2023.
- Soohan Kim & Jimyeong Kim & Hong Kee Sul & Youngjoon Hong, 2023. "An Adaptive Dual-level Reinforcement Learning Approach for Optimal Trade Execution," Papers 2307.10649, arXiv.org.
- Bruno Gašperov & Stjepan Begušić & Petra Posedel Šimović & Zvonko Kostanjčar, 2021. "Reinforcement Learning Approaches to Optimal Market Making," Mathematics, MDPI, vol. 9(21), pages 1-22, October.
- Söhnke M. Bartram & Jürgen Branke & Mehrshad Motahari, 2020.
"Artificial intelligence in asset management,"
Working Papers
20202001, Cambridge Judge Business School, University of Cambridge.
- Bartram, Söhnke & Branke, Jürgen & Motahari, Mehrshad, 2020. "Artificial Intelligence in Asset Management," CEPR Discussion Papers 14525, C.E.P.R. Discussion Papers.
- Alexandre Carbonneau & Fr'ed'eric Godin, 2021. "Deep equal risk pricing of financial derivatives with non-translation invariant risk measures," Papers 2107.11340, arXiv.org.
- Dieter Hendricks, 2016. "Using real-time cluster configurations of streaming asynchronous features as online state descriptors in financial markets," Papers 1603.06805, arXiv.org, revised May 2017.
- Wenhang Bao & Xiao-yang Liu, 2019. "Multi-Agent Deep Reinforcement Learning for Liquidation Strategy Analysis," Papers 1906.11046, arXiv.org.
- Ivan Jericevich & Patrick Chang & Tim Gebbie, 2020. "Comparing the market microstructure between two South African exchanges," Papers 2011.04367, arXiv.org.
- Ben Hambly & Renyuan Xu & Huining Yang, 2020. "Policy Gradient Methods for the Noisy Linear Quadratic Regulator over a Finite Horizon," Papers 2011.10300, arXiv.org, revised Jun 2021.
- Yuchen Fang & Kan Ren & Weiqing Liu & Dong Zhou & Weinan Zhang & Jiang Bian & Yong Yu & Tie-Yan Liu, 2021. "Universal Trading for Order Execution with Oracle Policy Distillation," Papers 2103.10860, arXiv.org.
- Harvey, M. & Hendricks, D. & Gebbie, T. & Wilcox, D., 2017. "Deviations in expected price impact for small transaction volumes under fee restructuring," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 416-426.
- Schnaubelt, Matthias, 2022. "Deep reinforcement learning for the optimal placement of cryptocurrency limit orders," European Journal of Operational Research, Elsevier, vol. 296(3), pages 993-1006.
- Feiyang Pan & Tongzhe Zhang & Ling Luo & Jia He & Shuoling Liu, 2022. "Learn Continuously, Act Discretely: Hybrid Action-Space Reinforcement Learning For Optimal Execution," Papers 2207.11152, arXiv.org.
- Shuo Sun & Rundong Wang & Bo An, 2021. "Reinforcement Learning for Quantitative Trading," Papers 2109.13851, arXiv.org.
- Matthew Dicks & Andrew Paskaramoorthy & Tim Gebbie, 2023. "Many learning agents interacting with an agent-based market model," Papers 2303.07393, arXiv.org, revised Aug 2024.